Showing 91 - 100 of 325
For the popular mean-variance portfolio choice problem in the case without a risk-free asset, we develop a new portfolio strategy to mitigate estimation risk. We show that in both calibrations and real datasets, optimally combining the sample global minimum variance portfolio with a sample...
Persistent link: https://www.econbiz.de/10011547611
Persistent link: https://www.econbiz.de/10011552938
Persistent link: https://www.econbiz.de/10011507002
Persistent link: https://www.econbiz.de/10010399441
Persistent link: https://www.econbiz.de/10008758064
Persistent link: https://www.econbiz.de/10009273895
Persistent link: https://www.econbiz.de/10002177146
Persistent link: https://www.econbiz.de/10003291088
Persistent link: https://www.econbiz.de/10001426357
Persistent link: https://www.econbiz.de/10002033621